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Cyclical correlations, credit contagion, and portfolio losses

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Author Info
Giesecke, Kay
Weber, Stefan
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 28 (2004)
Issue (Month): 12 (December)
Pages: 3009-3036
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Handle: RePEc:eee:jbfina:v:28:y:2004:i:12:p:3009-3036

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  1. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
  2. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports 252, Federal Reserve Bank of New York. [Downloadable!]
  3. Kiefer, Nicholas M., 2006. "Default Estimation for Low-Default Portfolios," Working Papers 06-08, Cornell University, Center for Analytic Economics. [Downloadable!]
  4. Emilio Barucci & Marco Tolotti, 2009. "The dynamics of social interaction with agents’ heterogeneity," Working Papers 189, Department of Applied Mathematics, University of Venice. [Downloadable!]
  5. Diana Barro & Antonella Basso, 2008. "A network of business relations to model counterparty risk," Working Papers 171, Department of Applied Mathematics, University of Venice. [Downloadable!]
  6. Didier Rulli\`ere & Diana Dorobantu, 2009. "An extension of Davis and Lo's contagion model," Quantitative Finance Papers 0904.1653, arXiv.org. [Downloadable!]
  7. Diana Barro & Antonella Basso, 2008. "Credit contagion in a network of firms with spatial interaction," Working Papers 186, Department of Applied Mathematics, University of Venice. [Downloadable!]
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This page was last updated on 2009-12-3.

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